Identification of Company-Specific Stress Scenarios in Non-Life Insurance
Wiltrud Weidner,
J.-Matthias Graf von der Schulenburg
Issue:
Volume 5, Issue 1-1, February 2016
Pages:
1-13
Received:
18 April 2015
Accepted:
23 April 2015
Published:
10 June 2015
Abstract: This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.
Abstract: This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scena...
Show More
Pensions and Growth: A Cointegration Analysis
Miguel Rodriguez Gonzalez,
Christoph Schwarzbach
Issue:
Volume 5, Issue 1-1, February 2016
Pages:
21-35
Received:
7 May 2015
Accepted:
1 June 2015
Published:
3 July 2015
Abstract: This article investigates the long-term relationship between economic growth and old-age provision using time series analysis, particularly the techniques of cointegration. The neoclassical growth model by Solow (1956) provides atheoretical basis for the empirical analysis. The results are based onquarterly data from 1970 to 2013 for the US-economy. In this work, the existence of a cointegrating relation between economic growth and pensions is verified by use of scientifically accepted statistical methods and proven for historical US-data. The empirical analysis confirms that improved technological capabilities constitute a very important determinant of growth in the context of neoclassical theory. The effects within the cointegrated relationship cannot be determined at this point and there is no information if the effect is reciprocal or not. For this purpose, further investigations are necessary and can build on the results presented here.
Abstract: This article investigates the long-term relationship between economic growth and old-age provision using time series analysis, particularly the techniques of cointegration. The neoclassical growth model by Solow (1956) provides atheoretical basis for the empirical analysis. The results are based onquarterly data from 1970 to 2013 for the US-economy...
Show More
